A note on long-term optimal portfolios under drawdown constraints

DOI10.1239/aap/1158684997zbMath1151.60339OpenAlexW2115292152MaRDI QIDQ5395355

Jun Sekine

Publication date: 2 November 2006

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1158684997

zbMATH Keywords

algebraic Riccati equationSkorokhod equationrisk-sensitive controlrisk constraintlong-term investmentDrawdown constraint

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items (11)

Portfolio management under drawdown constraint in discrete-time financial markets ⋮ Risk-sensitive asset management in a general diffusion factor model: risk-seeking case ⋮ Risk-sensitive portfolio optimization problem for a large trader with inside information ⋮ Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model ⋮ Explicit solution to a certain non-ELQG risk-sensitive stochastic control problem ⋮ Optimal portfolio strategy under rolling economic maximum drawdown constraints ⋮ Long-term optimal portfolios with floor ⋮ ON THE CONSUMPTION/DISTRIBUTION THEOREM UNDER THE LONG-RUN GROWTH CRITERION SUBJECT TO A DRAWDOWN CONSTRAINT ⋮ Risk-sensitive asset management with lognormal interest rates ⋮ Capital asset pricing model (CAPM) with drawdown measure ⋮ Risk-sensitive portfolio optimization with two-factor having a memory effect

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A risk-sensitive stochastic control approach to an optimal investment problem with partial information
• Optimal long-term investment model with memory
• A large deviations approach to optimal long term investment
• Risk-sensitive control and an optimal investment model. II.
• Coherent multiperiod risk adjusted values and Bellman's principle
• Coherent and convex monetary risk measures for unbounded càdlàg processes.
• A risk-sensitive control dual approach to a large deviations control problem
• Risk-Sensitive Control and an Optimal Investment Model
• OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
• Optimal Strategies for Risk-Sensitive Portfolio Optimization Problems for General Factor Models
• Risk-sensitive portfolio optimization on infinite time horizon
• Risk-Sensitive ICAPM With Application to Fixed-Income Management

This page was built for publication: A note on long-term optimal portfolios under drawdown constraints